Option prices as probabilities: a new look at generalized Black-Scholes formulae/
Christophe Profeta, Bernard Roynette and Marc Yor
- London: Springer, 2010.
- xxi, 270 p. ; 24 cm.
- (Springer finance) .
Reading the Black-Scholes formula in terms of first and last passage times -- Generalized Black-Scholes formulae for martingales, in terms of last passage time -- -- An interesting family of Black-Scholes perpetuities -- Study of last passage times up to a finite horizon -- Put option as joint distribution function in strike and maturity -- Existence and properties of pseudo-inverses for Bessel and related processes -- Existence of pseudo-inverses for diffusions -- A. Complements -- B. Bessel Functions and Bessel Processes.